Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0204 |
| Annualized Std Dev | 0.2337 |
| Annualized Sharpe (Rf=0%) | 0.0873 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3317.0000 |
| NAs | 1.0000 |
| Minimum | -0.1357 |
| Quartile 1 | -0.0080 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0083 |
| Maximum | 0.0859 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0147 |
| Skewness | -0.2072 |
| Kurtosis | 4.9853 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0106 |
| Gain Deviation | 0.0098 |
| Loss Deviation | 0.0104 |
| Downside Deviation (MAR=210%) | 0.0154 |
| Downside Deviation (Rf=0%) | 0.0105 |
| Downside Deviation (0%) | 0.0105 |
| Maximum Drawdown | 0.5143 |
| Historical VaR (95%) | -0.0225 |
| Historical ES (95%) | -0.0331 |
| Modified VaR (95%) | -0.0234 |
| Modified ES (95%) | -0.0397 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-12-19 | 2011-02-10 | 2020-02-28 | -0.5143 | 2816 | 540 | 2276 |
| 2020-03-10 | 2021-03-18 | NA | -0.3111 | 261 | 259 | NA |
| 2008-03-24 | 2008-06-02 | 2008-09-08 | -0.1292 | 102 | 44 | 58 |
| 2008-01-24 | 2008-02-25 | 2008-03-20 | -0.1290 | 38 | 22 | 16 |
| 2008-09-18 | 2008-09-24 | 2008-10-06 | -0.1066 | 13 | 5 | 8 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.1 | 1.1 |
| 2008 | 0.4 | 1 | -2.6 | 0.8 | 0.8 | -0.3 | -0.5 | -0.6 | 0.6 | -1.5 | 5.7 | -3.8 | -0.1 |
| 2009 | -4 | -1.9 | 0.7 | -1.2 | -4.6 | -1.4 | 3.3 | -1.3 | 1.5 | 2.2 | -1.6 | -0.4 | -8.7 |
| 2010 | -1.2 | -0.1 | 0.1 | 1.6 | 1 | 0.9 | 2.6 | -3 | -0.8 | -0.5 | -2.8 | 2.6 | 0.1 |
| 2011 | -1.6 | 0.9 | 0.7 | 0.5 | 2.3 | 0 | 1.5 | 2.5 | 4.1 | 5.2 | -0.7 | 0.5 | 17.1 |
| 2012 | -1.4 | -2.1 | -2 | -0.8 | 3.5 | -2.1 | -0.8 | 1.9 | 0.7 | -0.9 | -0.6 | -2.5 | -7.1 |
| 2013 | -1.6 | 0.8 | 0.9 | 1.4 | -0.4 | 0.5 | -3 | 0.3 | -0.7 | -1.6 | 0.4 | -0.9 | -4.1 |
| 2014 | 1.1 | 0.2 | -1.3 | 1.4 | -0.3 | -1.3 | 0.6 | -0.2 | 2.8 | -0.2 | -0.7 | 0 | 1.9 |
| 2015 | 2.4 | 0.9 | 1.8 | -2 | -1.4 | -2.1 | 1.1 | 0.6 | 0.7 | 1 | 1.8 | 0 | 4.9 |
| 2016 | -0.6 | -2.2 | 0.3 | 0.8 | 0.5 | 2.1 | -1.4 | 0.1 | -1.2 | 0 | -1.2 | 0.3 | -2.4 |
| 2017 | -0.8 | -2.3 | 0.1 | -1 | -0.1 | -0.4 | 1.1 | -1.4 | 0.2 | 0.8 | 2.3 | 0.1 | -1.5 |
| 2018 | -2 | 1.1 | 1 | -0.6 | -0.6 | -0.2 | -1.1 | -0.4 | -1.1 | 0.1 | 0.5 | 0.6 | -2.8 |
| 2019 | -0.8 | -1.3 | -2 | 0.7 | 1.7 | -0.3 | 2.4 | 0 | 0.4 | -0.4 | -0.1 | -1.4 | -1.3 |
| 2020 | 1 | 2.3 | 0.9 | 0.8 | -0.8 | -0.5 | -0.1 | 1.6 | -0.2 | -1.4 | -1.9 | 0.1 | 1.7 |
| 2021 | 0.2 | -1.9 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-12-13 95 SPY 149. -0.0021 -0.0125 0.0066 0.0011 0.0518 0.238 0.642 GLD 78.5 -2.47e-2 -0.011
2 2007-12-14 94 SPY 147. -0.0127 -0.0248 -0.0034 -0.0063 0.0374 0.218 0.621 GLD 78.5 3.00e-4 -0.001
3 2007-12-19 97.8 SPY 146. 0 -0.0234 0.0147 -0.042 0.0277 0.221 0.606 GLD 79.2 -1.00e-4 -0.0155
4 2007-12-20 98.5 SPY 147. 0.0063 -0.0152 0.0149 -0.034 0.0322 0.229 0.635 GLD 78.7 -7.20e-3 0.0022
5 2007-12-21 96.0 SPY 148. 0.0143 0.0118 0.051 -0.0184 0.0476 0.237 0.670 GLD 80.1 1.82e-2 0.0201
6 2007-12-26 93.2 SPY 150. 0.0021 0.0252 0.061 -0.0173 0.0625 0.238 0.661 GLD 81.5 1.72e-2 0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
